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EFFICIENCY IN ESTIMATION UNDER MONOTONIC ATTRITION

Published online by Cambridge University Press:  16 September 2024

Jean-Louis Barnwell  and
Saraswata Chaudhuri
Jean-Louis Barnwell
Affiliation:
Analysis Group
Saraswata Chaudhuri*
Affiliation:
McGill University and CIREQ
*
Address correspondence to Saraswata Chaudhuri, Department of Economics, McGill University and CIREQ, Montreal, QC, Canada; e-mail: [email protected].
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Abstract

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Attrition is monotonic when agents leaving multi-period studies do not return. Under a general missing at random (MAR) assumption, we study efficiency in estimation of parameters defined by moment restrictions on the distributions of the counterfactuals that were unrealized due to monotonic attrition. We discuss novel issues related to overidentification, usability of sample units, and the information content of various MAR assumptions for estimation of such parameters. We propose a standard doubly robust estimator for these parameters by equating to zero the sample analog of their respective efficient influence functions. Our proposed estimator performs well and vastly outperforms other estimators in our simulation experiment and empirical illustration.

Type
ARTICLES
Information
Econometric Theory , First View , pp. 1 - 34
Copyright
© The Author(s), 2024. Published by Cambridge University Press

Footnotes

We are very grateful to the Editor (Peter C. B. Phillips), the Co-Editor (Patrik Guggenberger), two anonymous referees, and Whitney Newey for their help in improving the paper. We also thank Francesco Amodio, Marine Carrasco, Daniel Farewell, Bryan Graham, Fabian Lange, Steven Lehrer, Thierry Magnac, Erica Moodie, Chris Muris, Tom Parker, Geert Ridder, Youngki Shin, and various conference and seminar participants for helpful comments. Earlier versions of the paper were circulated under different names; e.g., “A note on efficiency in estimation with monotonically missing at random data.” The views presented in this work do not reflect those of Analysis Group. Analysis Group provided no financial support for this work.

References

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